Canada's Department of Foreign Affairs released a statement Saturday, saying that it's seeking "further information" in the case and its staff are "in close contact with Kenyan authorities."
Kenyan police and military forces pursued the Somali attackers, according to Philip Ndolo, a police commander.
He told AFP news agency that the driver of the second vehicle was shot by a gunman and died while in hospital. A second driver and a contractor for the Norwegian Refugee Council were also shot, according to Reuters news agency.
Ndolo also said a high-ranking delegation from the Council had decided at the last minute to travel through the Dadaab refugee camp, in eastern Kenya, without an armed escort.
Norwegian Refugee Council Secretary General Elisabeth Rasmusson was there during Friday's attack but was not harmed or taken.
On Friday, Rasmusson said the group came under attack on a main road toward the city of Dadaab in "what is recognized as the safe part of the camp." She said four men with pistols attacked the two vehicles and then took one of the vehicles.
While the Norwegian Refugee Council is not identifying the nationalities of the workers, a security official familiar with the case said that two are from Canada, one from the Philippines and one from Norway. One of the Canadian passport holders is of Pakistani origin, the security official said.
Last year, two Spanish women were abducted from a Doctors Without Borders convoy in Dadaab, causing some aid groups to begin using security escorts to the area.
A Norwegian Refugee Council spokesman in Norway, Rolf Vestvik, said a risk analysis was carried out and it was decided that it was safe for the convoy to travel.
Ndolo said it's hard to get updates since security officials are pursuing the attackers in an area with no mobile phone coverage.
"The vehicle was abandoned not so many kilometers from the border, so there is the possibility that if they decided to walk, with an eight hours' walk they would have been at the border, and if they made a connection with other militias they could have been picked up in a vehicle there. That is our worry," he said.
Militants have gone into Dadaab several times over the last year. Several roadside bombs, mostly targetting police, have also exploded in the camp over the last year. As well, there were a series cross-border attacks last year.